VNQ Options History — August 2022

In August 2022, VNQ traded between $93.40 and $102.12. ATM implied volatility averaged 20.1%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.5% (HV 20d: 17.6%). Max pain ranged from $89.00 to $99.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 7.62.

Notable Days

2022-08-15: Highest Volume — 20,783 contracts
2022-08-26: Largest IV spike — 16.4% change
2022-08-30: Highest IV Rank — 54.1%
2022-08-30: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.11	$93.40	$102.12	$98.19	$93.40
Max Pain	$97.74	$89.00	$99.00	$89.00	$99.00
ATM IV	20.1%	17.1%	24.2%	21.2%	23.7%
Expected Move	5.8%	4.9%	6.9%	6.1%	6.8%
HV 20d	17.6%	15.1%	19.3%	17.3%	18.7%
HV 60d	23.9%	23.1%	26.3%	26.3%	23.8%
IV Rank	38.2%	26.4%	54.1%	42.5%	51.1%
IV Percentile	51.0%	31.7%	71.0%	59.1%	69.0%
Term Structure	1.5%	-0.7%	3.8%	-0.4%	0.1%
VWIV	22.1%	17.5%	30.2%	22.0%	28.7%
Skew 25d	4.8%	3.9%	5.6%	4.9%	5.5%
Skew 10d	9.7%	7.5%	11.5%	10.3%	10.0%
Call IV 25d	17.9%	15.4%	21.8%	19.0%	21.1%
Put IV 25d	22.7%	19.6%	27.3%	23.8%	26.6%
Bid-Ask Spread %	60.68	42.08	73.68	56.89	66.60
Gamma HHI	0.19	0.11	0.35	0.20	0.31
Net GEX	-7.5M	-16.5M	-1.5M	-6.1M	-16.5M
Net DEX	35.4M	-47.5M	139.5M	21.0M	139.5M
Net VEX	-691.3K	-772.9K	-510.3K	-687.0K	-743.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.62	0.44	106.13	0.51	3.98
Total Volume	4,162.304	291	20,783	5,901	9,899
Total OI	72,792.957	69,986	77,619	70,858	77,619

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-08-01	$98.19	$89.00	21.2%	6.1%	17.3%	42.5%	22.0%	4.9%	-0.4%	-6.1M	21.0M	-687.0K	0.51	56.89	N/A	N/A	3,896	2,005	19,002	51,856
2022-08-02	$97.29	$89.00	22.0%	6.3%	17.6%	45.6%	23.4%	5.2%	-0.7%	-6.9M	32.9M	-715.7K	0.52	58.81	N/A	N/A	4,173	2,183	19,412	51,987
2022-08-03	$97.35	$90.00	21.1%	6.1%	17.6%	42.2%	22.1%	3.9%	-0.1%	-6.8M	29.3M	-706.7K	0.45	42.08	N/A	N/A	3,811	1,703	19,563	52,051
2022-08-04	$96.81	$99.00	20.5%	5.8%	17.8%	39.8%	21.4%	5.5%	2.2%	-7.3M	38.3M	-697.2K	0.47	51.44	N/A	N/A	3,904	1,818	19,596	52,115
2022-08-05	$97.17	$99.00	19.6%	5.7%	17.7%	36.2%	21.8%	5.4%	2.6%	-7.1M	32.6M	-696.1K	0.44	56.30	N/A	N/A	3,989	1,774	19,705	52,333
2022-08-08	$98.33	$99.00	20.5%	5.7%	17.6%	39.7%	21.8%	5.6%	2.1%	-5.8M	14.0M	-655.0K	0.51	57.38	N/A	N/A	3,932	2,000	19,837	52,385
2022-08-09	$98.45	$99.00	20.3%	5.7%	17.3%	38.9%	21.6%	4.7%	2.1%	-5.4M	8.3M	-643.3K	7.58	61.69	N/A	N/A	67	508	19,870	52,497
2022-08-10	$100.31	$99.00	18.6%	5.3%	18.0%	32.2%	17.5%	4.6%	2.8%	-3.4M	-22.9M	-579.3K	0.67	61.62	N/A	N/A	965	648	19,921	52,617
2022-08-11	$99.81	$99.00	18.6%	5.3%	17.5%	32.6%	20.8%	4.7%	3.1%	-3.5M	-17.9M	-571.5K	1.34	61.32	N/A	N/A	495	664	20,323	52,612
2022-08-12	$101.52	$99.00	17.1%	4.9%	17.7%	26.4%	18.2%	4.3%	3.4%	-1.5M	-45.3M	-510.3K	0.67	63.31	N/A	N/A	392	261	20,517	52,895
2022-08-15	$102.12	$99.00	17.3%	4.9%	17.1%	27.2%	30.2%	4.0%	3.6%	-2.3M	-47.5M	-523.4K	106.13	61.24	N/A	N/A	194	20,589	20,634	52,946
2022-08-16	$101.94	$99.00	17.3%	5.0%	15.1%	27.3%	18.8%	4.2%	3.8%	-3.9M	-21.4M	-690.8K	1.61	56.91	N/A	N/A	180	289	20,671	53,365
2022-08-17	$101.34	$99.00	18.1%	5.2%	15.5%	30.4%	19.4%	4.6%	3.2%	-4.9M	-8.9M	-720.6K	0.76	63.57	N/A	N/A	560	428	20,684	53,528
2022-08-18	$100.56	$99.00	17.9%	5.1%	16.0%	29.7%	17.8%	4.1%	1.6%	-5.3M	513.1K	-740.5K	0.59	65.18	N/A	N/A	562	333	20,811	53,771
2022-08-19	$99.38	$99.00	18.8%	5.4%	16.9%	33.3%	19.7%	4.3%	1.9%	-7.4M	22.8M	-741.1K	0.62	68.63	N/A	N/A	696	433	20,987	53,974
2022-08-22	$97.30	$99.00	20.3%	5.8%	18.9%	39.1%	21.9%	4.9%	1.5%	-9.6M	72.2M	-763.8K	2.55	59.99	N/A	N/A	517	1,316	18,327	51,659
2022-08-23	$96.26	$99.00	20.6%	5.9%	19.3%	40.3%	21.3%	5.5%	1.7%	-11.0M	90.0M	-767.1K	2.29	63.63	N/A	N/A	433	991	18,714	52,334
2022-08-24	$96.83	$99.00	20.2%	5.8%	19.3%	38.7%	20.5%	4.2%	0.6%	-10.4M	79.6M	-759.0K	1.67	64.47	N/A	N/A	109	182	19,043	52,819
2022-08-25	$97.94	$99.00	19.0%	5.5%	16.8%	34.1%	21.7%	4.4%	0.6%	-9.3M	60.6M	-737.7K	3.96	52.71	N/A	N/A	200	791	19,077	52,993
2022-08-26	$95.77	$99.00	22.2%	6.4%	18.1%	46.3%	23.8%	4.7%	0.3%	-11.7M	98.5M	-772.9K	1.31	64.46	N/A	N/A	567	743	19,193	53,487
2022-08-29	$95.12	$99.00	23.2%	6.6%	18.0%	50.3%	24.2%	5.0%	-0.1%	-12.4M	104.8M	-744.1K	26.76	63.79	N/A	N/A	404	10,813	19,351	53,830
2022-08-30	$93.40	$99.00	24.2%	6.9%	18.7%	54.1%	28.6%	5.5%	-0.1%	-14.5M	133.8M	-734.3K	9.76	73.68	N/A	N/A	494	4,822	19,436	53,891
2022-08-31	$93.40	$99.00	23.7%	6.8%	18.7%	51.1%	28.7%	5.5%	0.1%	-16.5M	139.5M	-743.2K	3.98	66.60	N/A	N/A	1,987	7,912	19,440	58,179